A reason for unreason: returns-based beliefs in game theory

Players cooperate in experiments more than game theory would predict. We introduce the ‘returns-based beliefs’ approach: the expected returns of a particular strategy in proportion to total expected returns of all strategies. Using a decision analytic solution concept, Luce’s (1959) probabilistic choice model, and ‘hyperpriors’ for ambiguity in players’ cooperability, our approach explains empirical observations in various classes of games including the Prisoner’s and Traveler’s Dilemmas. Testing the closeness of fit of our model on Selten and Chmura (2008) data for completely mixed 2 × 2 games shows that with loss aversion, returns-based beliefs explain the data better than other equilibrium concepts.

Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

CdS/CdSe lateral heterostructure nanobelts by a two-step physical vapor transport method.

The two-dimensional heterostructure nanobelts with a central CdSe region and lateral CdS structures are synthesized by a two-step physical vapor transport method. The large growth rate difference between lateral CdS structures on both +/- (0001) sides of the CdSe region is found. The growth anisotropy is discussed in terms of the polar nature of the side +/- (0001) surfaces of CdSe. High-resolution transmission electron microscopy reveals the CdSe central region covered with non-uniform CdS layer/islands. From micro-photoluminescence measurements, a systematic blueshift of emission energy from the central CdSe region in accordance with the increase of lateral CdS growth temperature is observed. This result indicates that the intermixing rate in the CdSe region with CdS increases with the increase of lateral CdS growth temperature. In conventional CdSSe ternary nanostructures, morphology and emission wavelength were correlated parameters. However, the morphology and emission wavelength are independently controllable in the CdS/CdSe lateral heterostructure nanobelts. This structure is attractive for applications in visible optoelectronic devices.

Spatially-resolved photoluminescence imaging of CdS and GaAs/AlGaAs nanowires

We use low temperature spatially resolved photoluminescence imaging to study optical properties and electronic states of single CdS and GaAs/AlGaAs core-shell nanowires. © 2007 American Institute of Physics.